Adhesive thermal paste is pretty hard to obtain - it's usually just white goop, nothing special but more than suitable for lowly '040 CPUs.  It also usually doesn't last and the tube dries out after a few weeks do don't buy much.

Previously (but not now) I've been known to apply a thin layer of normal thermal paste on the CPU, wipe off a small portion on two corners on the CPU, and put a tiny dot of superglue on the corners.  Heatsink holds well.